Numerical strategies for filtering partially observed stiff stochastic differential equations

DOI10.1016/J.JCP.2010.10.016MaRDI QIDQ617480zbMATH OpenOpenAlexWikidataFDO

Authors John Harlim

Publication date 21 January 2011

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2010.10.016

zbMATH Keywords

data assimilationnumerical examplesalgorithminverse problemsheterogeneous multiscale methodsfiltering multiscale systemsstiff SDE

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear first-order PDEs (35F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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